Trend Following Strategy (TFS)


Strategy Description TFS is a fully systematic and algorithmic short to medium-term trend following system. The algorithm is based on extensions of theoretical research, which showed that under a classic price model, a simple futures trend following system always has positive expected excess return for all possible non-zero values of the mean (positive or negative) and zero expected excess return otherwise. The system enters a trade when there is statistical evidence that a price trend exists; it exits when there is statistical evidence that the trend has weakened or has ended. Risk and profitability are controlled by using volatility dependent dynamic stops and dynamic trailing stops and by diversifying over many futures markets. To reduce the minimum account size TFS is executed on the most liquid 17 future markets using ETFs. The system is robust with respect to parameter selection and portfolio selection.
Benefits Positive long term statistical expectancy created from trending markets.
Investment Manager Non Correlated Capital Pty Ltd
Structure Managed Account
Management Fees 1% management fee
Performance Fees 20% performance fee
Minimum Investment $50,000
Liquidity Daily
Expected Return 10%
Expected Volatility 12%
Correlation to MSCI World -0.1

Cumulative Monthly Returns

Risk & Return

Rolling Correlations (12 month)

Performance Notes:
The monthly performance indicates actual returns gross of fees. Performance is taken from the strategies core trading account.

This publication has been prepared on behalf of and issued by Non Correlated Capital Pty Ltd. This is not an offer to deal in any financial product. This information is general in nature and is presented without regard to any investor’s individual objectives, financial situation or needs. It is not specific advice for any particular investor. Before making any decision about the information provided, you must consider the appropriateness of the information in this document, having regard to your objectives, financial situation and needs and consult your adviser. The value of investments and any income generated may go down as well as up and is not guaranteed. Past performance is not necessarily a guide to future performance. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. Investors should be aware of local laws governing investments and should read all the relevant documents. Please visit and fill out a contact form to gain further information.

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